Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.913%
Drawdown
4.300%
Expectancy
0
Net Profit
0%
Sharpe Ratio
1.658
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.061
Beta
1.202
Annual Standard Deviation
0.09
Annual Variance
0.008
Information Ratio
-0.67
Tracking Error
0.039
Treynor Ratio
0.125
Total Fees
$2.98
 
import math
import numpy as np
import pandas as pd
import statistics

from datetime import datetime, timedelta


class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetCash(100000)
        self.SetStartDate(2017, 1, 1)
        self.SetEndDate(2017, 9, 30)
        
        # Add securities and get the data
        self.equity = ["SPY","IWM"]
        for s in self.equity:
            self.AddEquity(s, Resolution.Minute)

        # Schedule trades    
        self.Schedule.On(self.DateRules.On(2017, 1, 10), 
                 self.TimeRules.At(9, 31),
                 Action(self.Rebalance))
                 
        self.Schedule.On(self.DateRules.On(2017, 2, 10), 
                 self.TimeRules.At(9, 31),
                 Action(self.Rebalance))         
                 
    def OnData(self, slice):
        pass
    
    def Rebalance(self):
        
        for s in self.equity:
            self.SetHoldings(s, 0.5)